I think it would be helpful if there was a way for me to submit my own "performance" value from my strategy while optimizing in the analyzer.
I mean, the analyzer already optimizes by looking at net return or some other single parameter. But for some of my strategies I have my own internal formula in terms of what I'm looking for and consider a "good" result... (a combination of volatility, returns, draw-down, degree of correlation with another instrument, etc, etc.)
So, at any point within a strategy run, I'd like to make a call along the lines of:
SetBacktestReturn(double return);
The call is only used during backtesting, and in fact only during optimization. And the optimizer will then "rank" the strategy runs based on these return values that I submit.
Comment